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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2019 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file fdmdiscountdirichletboundary.cpp */
#include <ql/methods/finitedifferences/utilities/fdmdiscountdirichletboundary.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
namespace QuantLib {
namespace {
class DiscountedCashflowAtBoundary {
public:
DiscountedCashflowAtBoundary(Time maturityTime,
Real valueOnBoundary,
ext::shared_ptr<YieldTermStructure> rTS)
: maturityTime_(maturityTime), cashFlow_(valueOnBoundary), rTS_(std::move(rTS)) {}
Real operator()(Real t) const {
return cashFlow_
* rTS_->discount(maturityTime_)/rTS_->discount(t);
}
private:
const Time maturityTime_;
const Real cashFlow_;
const ext::shared_ptr<YieldTermStructure> rTS_;
};
}
FdmDiscountDirichletBoundary::FdmDiscountDirichletBoundary(
const ext::shared_ptr<FdmMesher>& mesher,
const ext::shared_ptr<YieldTermStructure>& rTS,
Time maturityTime,
Real valueOnBoundary,
Size direction, Side side)
: bc_(ext::make_shared<FdmTimeDepDirichletBoundary>(
mesher,
std::function<Real (Real)>(
DiscountedCashflowAtBoundary(
maturityTime, valueOnBoundary, rTS)),
direction, side)) {
}
void FdmDiscountDirichletBoundary::setTime(Time t) {
bc_->setTime(t);
}
void FdmDiscountDirichletBoundary::applyBeforeApplying(
operator_type& op) const {
bc_->applyBeforeApplying(op);
}
void FdmDiscountDirichletBoundary::applyBeforeSolving(
operator_type& op, array_type& r) const {
bc_->applyBeforeSolving(op, r);
}
void FdmDiscountDirichletBoundary::applyAfterApplying(array_type& r) const {
bc_->applyAfterApplying(r);
}
void FdmDiscountDirichletBoundary::applyAfterSolving(array_type& r) const {
bc_->applyAfterSolving(r);
}
}
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